Subject: Re: Low Vol Screen Using NAS100
I reran your screen on Portfolio 123. With the same start date I got the same poor results you did.
But then I did a rolling weekly start date with 27 sample periods.

                Ret     Bench  Excess
Average          17.75%  10.73% 7.02%
Up Markets   22  18.95%  13.34% 5.60%
Down Markets  5  12.49%  -0.77% 13.26%

So it appears the paper's conclusion was valid for most start dates.